meta user
network profile
| bio | website | |
|---|---|---|
| location | Santiago, Chile | |
| age | 31 | |
| visits | member for | 1 year, 1 month |
| seen | 16 hours ago | |
| stats | profile views | 45 |
|
May 8 |
awarded | Critic |
|
May 8 |
comment |
How to build a mean reverting basket? Thanks mepuzza. I know about cointegration and how to test for cointegration of pairs using (for example) Augmented Dickey-Fuller test. Do you have any reference I can read about building/testing cointegrated baskets? |
|
May 8 |
asked | How to build a mean reverting basket? |
|
Apr 12 |
asked | Two prices pass the cointegration test but there is a trend. How to check stationarity? |
|
Apr 11 |
comment |
Choosing the time-frame to test for cointegration Thanks Craig for your answer, but you may be introducing some data-snooping bias in your analysis. |
|
Apr 11 |
awarded | Student |
|
Apr 11 |
asked | Choosing the time-frame to test for cointegration |
|
Apr 5 |
awarded | Supporter |
